Pricing of Derivatives on Mean-Reverting Assets

• Main Author: Lutz, Björn (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Berlin, Heidelberg : Springer Berlin Heidelberg, 2010.
• Series: Lecture Notes in Economics and Mathematical Systems, 630
• Subjects: Finance.; Applied mathematics.; Engineering mathematics.; Economics, Mathematical.; Macroeconomics.; Finance, general.; Macroeconomics/Monetary Economics//Financial Economics.; Applications of Mathematics.; Quantitative Finance.

The topic of this book is the development of pricing formulae for European style derivatives on assets with mean-reverting behavior, especially commodity derivatives. For this class of assets, convenience yield effects lead to mean-reversion under the risk-neutral measure. Mean-reversion in the log-...